Hidden Bibliographic Details
| Other authors / contributors: | Gorodnichenko, Yuriy.
International Monetary Fund. Research Department.
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| ISBN: | 9781475516753
1475516754
1475533861
9781475533866
9781475519242
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| Notes: | Title from PDF title page (IMF Web site, viewed Dec. 21, 2012).
"Research Department."
"December 2012."
Includes bibliographical references.
Print version record.
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| Summary: | We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the null arise from information rigidities. This approach quantifies the economic significance of departures from the null and the underlying degree of information rigidity. Applying this approach to U.S. and international data of professional forecasters and other agents yields pervasive evidence consistent with the presence of information rigidities. These results therefore provide a set of stylized facts which can be used to calibrate imperfect information models. Finally, we document evidence of state-dependence in the expectations formation process.
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